2 papers
math.ST2025
Quasi-likelihood inference for SDE with mixed-effects observed at high frequency
Maud Delattre, Hiroki Masuda
We consider statistical inference for a class of dynamic mixed-effect models described by stochastic differential equations whose drift and diffusion coefficients simultaneously de…
stat.CO2024
Student t-Lévy regression model in YUIMA
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
The aim of this paper is to discuss an estimation and a simulation method in the \textsf{R} package YUIMA for a linear regression model driven by a Student- Lévy process with co…